0000950103-17-008750.txt : 20170908 0000950103-17-008750.hdr.sgml : 20170908 20170907192308 ACCESSION NUMBER: 0000950103-17-008750 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 2 FILED AS OF DATE: 20170908 DATE AS OF CHANGE: 20170907 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE AG CENTRAL INDEX KEY: 0001053092 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 000000000 STATE OF INCORPORATION: V8 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-218604-02 FILM NUMBER: 171074897 BUSINESS ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: 8001 BUSINESS PHONE: 01141 44 333 1111 MAIL ADDRESS: STREET 1: P.O. BOX 1 CITY: ZURICH STATE: V8 ZIP: 8070 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE / /FI DATE OF NAME CHANGE: 20050607 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE FIRST BOSTON / /FI DATE OF NAME CHANGE: 19980115 424B2 1 dp80400_424b2-w41.htm FORM 424B2

The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these warrants, and it is not soliciting an offer to buy these warrants in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated September 7, 2017.

Preliminary Pricing Supplement No. W41 

To the Underlying Supplement dated June 30, 2017, 

Product Supplement No. W-I dated June 30, 2017, 

Prospectus Supplement dated June 30, 2017 and 

Prospectus dated June 30, 2017

 

Filed Pursuant to Rule 424(b)(2)

Registration Statement No. 333-218604-02

September 7, 2017

Credit Suisse AG

Structured
Investments

Credit Suisse

2 Year Call Warrants Expiring September 12, 2019

Linked to the Performance of the EURO STOXX 50® Index

General

·The warrants are designed for investors who seek a leveraged return at expiration based on the performance of the EURO STOXX 50® Index. Investors should be willing to forgo interest and dividend payments and (i) if the Final Level is greater than the Initial Level by less than 7.43% (to be determined on the Trade Date), be willing to lose some of their investment or (ii) if the Final Level is equal to or less than the Initial Level, be willing to lose all of their investment.

·Unsecured contractual obligations of Credit Suisse AG, acting through its Nassau branch, expiring September 12, 2019. The warrants will rank pari passu with all of our other unsecured contractual obligations and our unsecured and unsubordinated debt obligations. Any payment at expiration is subject to our ability to pay our obligations as they become due.

·You do not have the right to exercise your warrants prior to expiration. The warrants are risky investments and may expire worthless.

·You must have an options-approved account in order to purchase the warrants. The warrants involve a high degree of risk and are not appropriate for every investor. You must be able to understand and bear the risk of an investment in the warrants, and you should be experienced with respect to options and option transactions.

·The initial offering price of each warrant, which we also refer to as the Issue Price, is expected to be $74.30 (to be determined on the Trade Date).

·The minimum initial investment is $10,030.50, resulting in a minimum initial purchase of 135 warrants (after rounding) (to be determined on the Trade Date).

·The warrants are expected to price on or about September 8, 2017 (the “Trade Date”) and are expected to settle on or about September 13, 2017 (the “Settlement Date”). Delivery of the warrants in book-entry form only will be made through The Depository Trust Company.

 

Key Terms

Issuer: Credit Suisse AG (“Credit Suisse”), acting through its Nassau branch
Underlying: The warrants are linked to the performance of the EURO STOXX 50® Index. For more information on the Underlying, see ““The Reference Indices—The STOXX Indices—The EURO STOXX 50® Index” in the accompanying underlying supplement
Issue Price: Expected to be $74.30 per warrant (equal to 7.43% of the Notional Amount, to be determined on the Trade Date)
Notional Amount: $1,000 per warrant.
Payment at Expiration: On the Expiration Date, the warrants will be exercised automatically and you will receive a cash payment equal to the Cash Settlement Value. Any payment at expiration is subject to our ability to pay our obligations as they become due.
Cash Settlement Value: With respect to each warrant you hold, the Cash Settlement Value at expiration will equal:
  ·          If the Final Level is greater than the Initial Level, an amount calculated as follows:
  Notional Amount × Underlying Return
  ·          If the Final Level is equal to or less than the Initial Level, $0.
  If the Final Level is equal to or less than the Initial Level, the warrants will expire worthless. In that case, you will lose your entire investment. In addition, if the Final Level is greater than the Initial Level but by less than 7.43% (to be determined on the Trade Date), you will lose a portion of your initial investment.
Listing: The warrants will not be listed on any securities exchange.
CUSIP: 22539T233

(“Key Terms” continued on next page)

 

Investing in the warrants involves a number of risks. See “Selected Risk Considerations” beginning on page 4 of this pricing supplement and “Risk Factors” beginning on page PS-4 of any accompanying product supplement.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the warrants or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, any product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense. 

  Price to Public Underwriting Discounts and Commissions(1) Proceeds to Issuer
Per warrant $74.30 $ $
Total $ $ $

(1) J.P. Morgan Securities LLC, which we refer to as JPMS, and JPMorgan Chase Bank, N.A. will act as placement agents for the warrants. We or one of our affiliates will pay discounts and commissions of $4.20 per warrant to the placement agents. For more detailed information, please see the “Supplemental Plan of Distribution” on the last page of this pricing supplement.
Credit Suisse currently estimates the value of each warrant on the Trade Date will be between $60 and $85 (as determined by reference to our valuation models). This range of estimated values reflects terms that are not yet fixed. A single estimated value reflecting final terms will be determined on the Trade Date. See “Selected Risk Considerations” in this pricing supplement.

The warrants are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.

J.P. Morgan

Placement Agent

September , 2017

 

 

 

(continued from previous page)

 

Underlying Return:

Final Level – Initial Level

Initial Level

Initial Level: The closing level of the Underlying on the Trade Date. In the event that the closing level for the Underlying is not available on the Trade Date, the Initial Level will be determined on the immediately following trading day on which a closing level is available.
Final Level: The arithmetic average of the closing levels of the Underlying on each of the five Valuation Dates.  
Valuation Dates: September 3, 2019, September 4, 2019, September 5, 2019, September 6, 2019 and September 9, 2019 (each a “Valuation Date” and September 9, 2019, the “Final Valuation Date”), subject to postponement as set forth in any accompanying product supplement under “Description of the Warrants—Postponement of valuation dates.”
Expiration Date: September 12, 2019, subject to postponement as set forth in any accompanying product supplement under “Description of the Warrants—Postponement of valuation dates.”
   

You may revoke your offer to purchase the warrants at any time prior to the time at which we accept such offer on the date the warrants are priced. We reserve the right to change the terms of, or reject any offer to purchase the warrants prior to their issuance. In the event of any changes to the terms of the warrants, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.

 

 

 

Additional Terms Specific to the Warrants

 

You should read this pricing supplement together with the underlying supplement dated June 30, 2017, the product supplement dated June 30, 2017, the prospectus supplement dated June 30, 2017 and the prospectus dated June 30, 2017, relating to our Medium-Term Warrants of which these warrants are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

 

•Underlying Supplement dated June 30, 2017:

http://www.sec.gov/Archives/edgar/data/1053092/000095010317006313/dp77765_424b2-undsupp.htm

 

•Product Supplement No. W-I dated June 30, 2017:

http://www.sec.gov/Archives/edgar/data/1053092/000095010317006319/dp77786_424b2-wi.htm

 

•Prospectus Supplement and Prospectus dated June 30, 2017:

https://www.sec.gov/Archives/edgar/data/1053092/000095010317006341/dp77915_424b2-psw1.htm

 

In the event the terms of the warrants described in this pricing supplement differ from, or are inconsistent with, the terms described in the underlying supplement, any product supplement, the prospectus supplement or prospectus, the terms described in this pricing supplement will control.

 

Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, “we,” “us,” or “our” refers to Credit Suisse.

 

This pricing supplement, together with the documents listed above, contains the terms of the warrants and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. We may, without the consent of the registered holder of the warrants and the owner of any beneficial interest in the warrants, amend the warrants to conform to its terms as set forth in this pricing supplement and the documents listed above, and the trustee is authorized to enter into any such amendment without any such consent. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in any accompanying product supplement, “Foreign Currency Risks” in the accompanying prospectus, and any risk factors we describe in the combined Annual Report on Form 20-F of Credit Suisse Group AG and us incorporated by reference therein, and any additional risk factors we describe in future filings we make with the SEC under the Securities Exchange Act of 1934, as amended, as the warrants involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the warrants.

 

1 

 

Hypothetical Total Return on the Warrants at Expiration Per $1,000 Notional Amount of Warrants

 

The table and examples below illustrate hypothetical total returns at expiration per Notional Amount of warrants for a hypothetical range of performance of the Underlying. The “total return” as used in the table below is calculated as (i) the Cash Settlement Value divided by the Issue Price, minus (ii) one, expressed as a percentage. The hypothetical total returns set forth below assume the warrants are purchased at an Issue Price of 7.43% of the Notional Amount or $74.30 per warrant. The hypothetical Cash Settlement Values and total returns set forth below are for illustrative purposes only. The actual Cash Settlement Value and total return applicable to a purchaser of the warrants will be based on the actual Issue Price (to be determined on the Trade Date) and the Final Level. You should consider carefully whether the warrants are suited to your investment goals. Any payment at expiration is subject to our ability to pay our obligations as they become due. The numbers appearing in the table and examples below have been rounded for ease of analysis.

 

Underlying Return Initial Investment (Issue Price) Cash Settlement Value Total Return
100.00% $74.30 $1,000.00 1245.90%
90.00% $74.30 $900.00 1111.31%
80.00% $74.30 $800.00 976.72%
70.00% $74.30 $700.00 842.13%
60.00% $74.30 $600.00 707.54%
50.00% $74.30 $500.00 572.95%
40.00% $74.30 $400.00 438.36%
30.00% $74.30 $300.00 303.77%
20.00% $74.30 $200.00 169.18%
10.00% $74.30 $100.00 34.59%
7.43% $74.30 $74.30 0.00%
5.00% $74.30 $50.00 −32.71%
0.00% $74.30 $0.00 −100.00%
−10.00% $74.30 $0.00 −100.00%
−20.00% $74.30 $0.00 −100.00%
−30.00% $74.30 $0.00 −100.00%
−40.00% $74.30 $0.00 −100.00%
−50.00% $74.30 $0.00 −100.00%
−60.00% $74.30 $0.00 −100.00%
−70.00% $74.30 $0.00 −100.00%
−80.00% $74.30 $0.00 −100.00%
−90.00% $74.30 $0.00 −100.00%
−100.00% $74.30 $0.00 −100.00%

2 

 

Hypothetical Examples of Amounts Payable at Expiration

 

The following examples illustrate how the Cash Settlement Values set forth in the table above are calculated.

 

Example 1: The level of the Underlying increases by 50% from the Initial Level to the Final Level. Because the Final Level is greater than the Initial Level, the investor would receive a Cash Settlement Value at expiration on the warrants calculated as follows:

 

Cash Settlement Value = $1,000 × the Underlying Return
  = $1,000 × 50%
  = $500

 

Example 2: The level of the Underlying increases by 5% from the Initial Level to the Final Level. Because the Final Level is greater than the Initial Level, the investor would receive a Cash Settlement Value at expiration on the warrants calculated as follows:

 

Cash Settlement Value = $1,000 × the Underlying Return
  = $1,000 × 5%
  = $50

 

Because the Final Level is greater than the Initial Level but by less than 7.43%, the investor will lose $24.30 of the initial investment of $74.30 per warrant, which is equivalent to a loss of approximately 32.71%.

 

Example 3: The Final Level is equal to the Initial Level. Because the Final Level is equal to the Initial Level, the Underlying Return is zero and the warrants expire worthless. Therefore, the investor will lose 100% of the initial investment of $74.30 per warrant.

 

Example 4: The level of the Underlying decreases by 20% from the Initial Level to the Final Level. Because the Final Level is less than the Initial Level, the warrants expire worthless. Therefore, the investor will lose 100% of the initial investment of $74.30 per warrant.

 

3 

 

Selected Risk Considerations

 

An investment in the warrants involves significant risks. Investing in the warrants is not equivalent to investing directly in the Underlying or any of the equity securities comprising the Underlying. These risks are explained in more detail in the “Risk Factors” section of any accompanying product supplement.

 

·THE WARRANTS ARE A RISKY INVESTMENT AND MAY EXPIRE WORTHLESS – The warrants do not guarantee any return of your investment and are subject to considerable downside leverage. The return on the warrants at expiration is linked to the performance of the Underlying and will depend on whether, and the extent to which, the Underlying Return is positive or negative. If the Final Level is less than or equal to the Initial Level, the warrants will expire worthless and you will lose your entire investment. If the Final Level is greater than the Initial Level by less than 7.43% (to be determined on the Trade Date), you will lose a portion of your investment in the warrants because the Cash Settlement Value will be less than the Issue Price.

 

·THE WARRANTS ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors are dependent on our ability to pay all amounts due on the warrants and, therefore, if we were to default on our obligations, you may not receive any amounts owed to you under the warrants. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the warrants prior to expiration.

 

·REGARDLESS OF THE AMOUNT OF ANY PAYMENT YOU RECEIVE ON THE WARRANTS, YOUR ACTUAL YIELD MAY BE DIFFERENT IN REAL VALUE TERMS — Inflation may cause the real value of any payment you receive on the warrants to be less at expiration than it is at the time you invest. An investment in the warrants also represents a forgone opportunity to invest in an alternative asset that generates a higher real return. You should carefully consider whether an investment that may result in a return that is lower than the return on alternative investments is appropriate for you.

 

·THE AVERAGING CONVENTION USED TO CALCULATE THE FINAL LEVEL COULD LIMIT RETURNS — Your investment in the warrants may not perform as well as an investment in an instrument that measures the point-to-point performance of the Underlying from the Trade Date to the Final Valuation Date. Your ability to participate in the appreciation of the Underlying, if any, may be limited by the 5-day-end-of-term averaging used to calculate the Final Level, especially if there is a significant increase in the closing level of the Underlying on the Final Valuation Date. Accordingly, you may not receive the benefit of the full appreciation of the Underlying, if any, between the Trade Date and the Final Valuation Date.

 

·THE INITIAL PUBLIC OFFERING PRICE OF THE WARRANTS MAY BE HIGHER THAN THAT OF SIMILAR OPTIONS – The initial public offering price of the warrants may be higher than the price of options on the Underlying an investor might pay for a comparable listed option or in a private transaction.

 

·THE WARRANTS ARE SUITABLE ONLY FOR INVESTORS WITH OPTIONS-APPROVED ACCOUNTS – We are requiring that warrants be sold only to investors with options−approved accounts. We suggest that investors considering purchasing warrants be experienced with respect to options and options transactions and reach an investment decision only after carefully considering, with their advisors, the suitability of the warrants in light of their particular circumstances. Warrants may not be suitable for persons dependent upon a fixed income, for individual retirement plan accounts or for accounts under the Uniform Transfers/Gifts to Minors Act. You should be prepared to sustain a total loss of your investment in the warrants.

 

·THE WARRANTS ARE NOT STANDARDIZED OPTIONS ISSUED BY THE OPTIONS CLEARING CORPORATION – The warrants are not standardized options of the type issued by the Options Clearing Corporation (the “OCC”), a clearing agency regulated by the SEC. For example, unlike purchasers of OCC standardized options who have the credit benefits of guarantees and margin and collateral deposits by OCC clearing members to protect the OCC from a clearing member’s failure, purchasers of the warrants must look solely to us for performance of our obligations to pay the Cash Settlement Value, if any, upon the exercise of the warrants. The warrants are our unsecured contractual obligations and will rank equally with our other unsecured contractual obligations and with our unsecured and unsubordinated debt. In addition, the secondary market for the warrants, if any, is not expected to be as liquid as the market for OCC standardized options.

 

4 

 

·THE RETURN ON THE WARRANTS MAY BE LOWER THAN RETURN ON OTHER INVESTMENTS WITH A SIMILAR TERM — The warrants are not debt instruments and we will not pay interest on the warrants. You may receive less at expiration than you could have earned on ordinary interest-bearing debt securities with a similar term, including other of our debt securities, since the payment at expiration is based on the performance of the Underlying. Because the payment due at expiration may be less than the amount originally invested in the warrants and may even be zero, the return on the warrants (i.e., the effective yield to the expiration date) may be negative and you may even lose your entire investment. Even if the return on the warrants is positive, the return may not be sufficient to compensate you for any loss in value due to inflation and other factors relating to the time value of money.

 

·THE TIME REMAINING TO THE EXPIRATION DATE MAY ADVERSELY AFFECT THE VALUE OF THE WARRANTS — You will lose your entire investment if the Final Level is less than or equal to the Initial Level. This risk of losing your entire investment will reflect the nature of a warrant as an asset that tends to decline in value over time and that will be worthless if it is “out-of-the-money” when it is exercised. Assuming all other factors are held constant, the risk that the warrants will expire worthless will increase the more the level of the Underlying falls below the Initial Level and the shorter the time remaining until the expiration date. Therefore, the value of the warrants will reflect both the rise or decline in the level of the Underlying and the time remaining to the expiration date, among other factors.

 

·THE PROBABILITY THAT THE FINAL LEVEL WILL BE LESS THAN THE INITIAL LEVEL WILL DEPEND ON THE VOLATILITY OF THE UNDERLYING — “Volatility” refers to the frequency and magnitude of changes in the level of the Underlying. The greater the expected volatility with respect to the Underlying on the Trade Date, the higher the expectation as of the Trade Date that the Final Level could be less than the Initial Level, indicating a higher expected risk of loss on the warrants. The terms of the warrants are set, in part, based on expectations about the volatility of the Underlying as of the Trade Date. The volatility of the Underlying can change significantly over the term of the warrants. The level of the Underlying could fall sharply, which could result in the warrants expiring worthless. You should be willing to accept the downside market risk of the Underlying and the potential to lose your entire investment at expiration.

 

·THE CLOSING LEVEL OF THE EURO STOXX 50® INDEX WILL NOT BE ADJUSTED FOR CHANGES IN EXCHANGE RATES RELATIVE TO THE U.S. DOLLAR EVEN THOUGH THE EQUITY SECURITIES INCLUDED IN THE EURO STOXX 50® INDEX ARE TRADED IN A FOREIGN CURRENCY AND THE WARRANTS ARE DENOMINATED IN U.S. DOLLARS — The value of your warrants will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies in which the equity securities included in the EURO STOXX 50® Index are based. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the warrants, you will not receive any additional payment or incur any reduction in your return, if any, at expiration.

 

·FOREIGN SECURITIES MARKETS RISK — Some or all of the assets included in the EURO STOXX 50® Index are issued by foreign companies and trade in foreign securities markets. Investments in the warrants therefore involve risks associated with the securities markets in those countries, including risks of volatility in those markets, government intervention in those markets and cross shareholdings in companies in certain countries. Also, foreign companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The equity securities included in the EURO STOXX 50® Index may be more volatile than domestic equity securities and may be subject to different political, market, economic, exchange rate, regulatory and other risks, including changes in foreign governments, economic and fiscal policies, currency exchange laws or other laws or restrictions. Moreover, the economies of foreign countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. These factors may adversely affect the values of the equity securities included in the EURO STOXX 50® Index, and therefore the performance of the EURO STOXX 50® Index and the value of the warrants.

 

·HEDGING AND TRADING ACTIVITY — While the warrants are outstanding, we or any of our affiliates may carry out hedging activities related to the warrants, including in instruments related to the Underlying. We or our affiliates may also trade instruments related to the Underlying from time to time. Any of these hedging or trading activities as of the Trade Date and during the term of the warrants could adversely affect our payment to you at expiration.

 

5 

 

·THE ESTIMATED VALUE OF THE WARRANTS ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC — The initial estimated value of your warrants on the Trade Date (as determined by reference to our pricing models) may be significantly less than the original Price to Public. The Price to Public of the warrants includes any discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the warrants and the cost of hedging our risks as issuer of the warrants through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the warrants. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the warrants (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties).

 

On the Trade Date, we value the warrants in accordance with our valuation models. Our option valuation models are proprietary. They take into account factors such as interest rates, volatility and time to expiration of the warrants, and they rely in part on certain assumptions about future events, which may prove to be incorrect.

 

Because Credit Suisse’s valuation models may differ from other issuers’ valuation models, our estimated value at any time may not be comparable to estimated values of similar warrants of other issuers.

 

·SECONDARY MARKET PRICES  — If Credit Suisse (or an affiliate) bids for your warrants in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the warrants on the Trade Date. The estimated value of the warrants on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the warrants in the secondary market (if any exists) at any time. The secondary market price of your warrants at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your warrants will be lower than the Price to Public because it will not include any discounts or commissions and hedging and other transaction costs. If you sell your warrants to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your warrants may be lower than the price at which we may repurchase the warrants from such dealer.

 

We (or an affiliate) may initially post a bid to repurchase the warrants from you at a price that will exceed the then-current estimated value of the warrants. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately three months.

 

The warrants are not designed to be short-term trading instruments and any sale prior to expiration could result in a substantial loss to you. You should be willing and able to hold your warrants to expiration.

 

·CREDIT SUISSE IS SUBJECT TO SWISS REGULATION — As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms and market value of the warrants and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the warrants.

 

·POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the warrants, including acting as calculation agent, hedging our obligations under the warrants and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the warrants. Further, hedging activities may

 

6 

 

·adversely affect any payment on or the value of the warrants. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the warrants, which creates an additional incentive to sell the warrants to you.

 

·LACK OF LIQUIDITY — The warrants will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the warrants in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the warrants when you wish to do so. Because other dealers are not likely to make a secondary market for the warrants, the price at which you may be able to trade your warrants is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the warrants. If you have to sell your warrants prior to expiration, you may not be able to do so, or you may have to sell them at a substantial loss.

 

·UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE WARRANTS — In addition to the level of the Underlying, the value of the warrants may be influenced by factors such as:

 

·Market expectations as to future levels of the Underlying;

 

·interest and yield rates in the market generally;

 

·the dividend rates on the equity securities included in the Underlying;

 

·the expected and actual volatility of the Underlying;

 

·changes and adjustments made to the Underlying;

 

·investors’ expectations with respect to the rate of inflation;

 

·geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the components included in the Underlying or markets generally and which may affect the level of the Underlying;

 

·the time to expiration of the warrants;

 

·the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies of the equity securities held by the Underlying and any other currency relevant to the value of the Underlying; and

 

·our creditworthiness, including actual or anticipated downgrades in our credit ratings.

 

Some or all of these factors may influence the price that you will receive if you choose to sell your warrants prior to expiration. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.

 

·NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYING — Your return on the warrants will not reflect the return you would realize if you actually owned the equity securities that comprise the Underlying. The return on your investment is not the same as the total return based on the purchase of shares of the equity securities that comprise the Underlying.

 

·NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the warrants, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities that comprise the Underlying.

 

·THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE WARRANTS ARE NOT CERTAIN — There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization, for U.S. federal income tax purposes, of instruments with terms that are substantially the same as those of the warrants. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been sought as to the U.S. federal income tax consequences of the ownership and disposition of the warrants, and the tax treatment described under “Material U.S. Federal Income Tax Considerations” is not binding on the IRS or any court. Thus, the U.S. federal income tax consequences of the warrants are not certain.

 

7 

 

Supplemental Use of Proceeds and Hedging

 

We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the warrants may be used in connection with hedging our obligations under the warrants through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the warrants (including on any Valuation Date) could adversely affect the value of the Underlying and, as a result, could decrease the amount you may receive on the warrants at expiration. For additional information, see “Supplemental Use of Proceeds and Hedging” in any accompanying product supplement.

 

8 

 

Historical Information

 

The following graph sets forth the historical performance of the Underlying based on the closing levels of the Underlying from January 3, 2012 through September 6, 2017. The closing level of the Underlying on September 6, 2017 was 3433.80. We obtained the historical information below from Bloomberg, without independent verification.

 

You should not take the historical levels of the Underlying as an indication of future performance of the Underlying or the warrants. Any historical trend in the level of the Underlying during any period set forth below is not an indication that the level of the Underlying is more or less likely to increase or decrease at any time over the term of the warrants.

 

For additional information about the EURO STOXX 50® Index, see “The Reference Indices—The STOXX Indices—The EURO STOXX 50® Index” in the accompanying underlying supplement.

 

 

9 

 

Material U.S. Federal Income Tax Considerations

 

The following discussion summarizes material U.S. federal income tax consequences of owning and disposing of a warrant that may be relevant to holders of warrants that acquire their warrants from us as part of the original issuance of the warrants. This discussion applies only to holders that hold their warrants as capital assets within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”). Further, this discussion does not address all of the U.S. federal income tax consequences that may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:

 

·a financial institution,

 

·a mutual fund,

 

·a tax-exempt organization,

 

·a grantor trust,

 

·in certain cases, a U.S. expatriate,

 

·an insurance company,

 

·a dealer or trader in warrants or foreign currencies,

 

·a person (including traders in warrants) using a mark-to-market method of accounting,

 

·a person who holds warrants as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or

 

·an entity that is treated as a partnership for U.S. federal income tax purposes.

 

The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign laws are not addressed herein. No ruling from the IRS has been sought as to the U.S. federal income tax consequences of the ownership and disposition of warrants, and the following discussion is not binding on the IRS.

 

You should consult your tax advisor as to the specific tax consequences to you of owning and disposing of the warrants, including the application of federal, state, local and foreign income and other tax laws based on your particular facts and circumstances.

 

U.S. Holders

 

For purposes of this discussion, the term “U.S. Holder” means, for U.S. federal income tax purposes, a beneficial owner of warrants that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S. federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a) a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S. persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal income tax purposes) holds warrants, the U.S. federal income tax treatment of such partnership and a partner in such partnership will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a partnership, holding warrants, you should consult your tax advisor regarding the tax consequences to you from the partnership’s purchase, ownership and disposition of the warrants.

 

Characterization of the Warrants

 

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There are no statutory provisions, regulations, published rulings or judicial decisions addressing or involving the characterization and treatment, for U.S. federal income tax purposes, of the warrants or securities with terms substantially identical to the warrants. However, although the matter is not free from doubt, under current law, in the opinion of Milbank, Tweed, Hadley & McCloy LLP, our special tax counsel (“Tax Counsel”), each warrant will be treated as an option for U.S. federal income tax purposes. Pursuant to the terms of the warrants, we and every holder of a warrant agree (in the absence of an administrative determination, judicial ruling or other authoritative guidance to the contrary) to characterize and treat a warrant as an option for U.S. federal income tax purposes. Prospective investors in the warrants should be aware, however, that no ruling has been sought from the IRS regarding the treatment of the warrants, and Tax Counsel’s opinion is not binding on the IRS or the courts. As a result, it is possible that the IRS could successfully assert a different position with respect to the characterization of the warrants as options, and the attendant U.S. federal income tax consequences.

 

The following discussion of the principal U.S. federal income tax consequences of the purchase, ownership and disposition of the warrants is based upon the assumption that each warrant will be treated as an option for U.S. federal income tax purposes. If the warrants are not in fact treated as options for U.S. federal income tax purposes, then the U.S. federal income tax treatment of the purchase, ownership and disposition of the warrants could differ significantly from the treatment discussed below with the result that the timing and character of income, gain or loss recognized in respect of a warrant could differ significantly from the timing and character of income, gain or loss recognized in respect of a warrant had the warrants in fact been treated as options for U.S. federal income tax purposes. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the warrants for U.S. federal income tax or other tax purposes. Accordingly, Holders should consult their tax advisors concerning the tax treatment of holding the warrants.

 

Tax Treatment of the Warrants

 

In accordance with the agreed-upon tax treatment described above, a U.S. Holder generally will recognize gain or loss equal to the difference between the amount the U.S. Holder realizes on the, exercise, sale or other taxable disposition and the U.S. Holder’s tax basis in the warrant (generally its cost). Such gain or loss will be short-term capital gain or loss, except if the warrant has been held for more than one year at the time of its sale, exchange or settlement, or to the extent described below under “Passive Foreign Investment Company Rules.”

 

U.S. Holders who may have a position with respect to any of the underlying shares or the assets that may be reflected in the underlying index or indices should consult their tax advisors concerning the potential application of the straddle rules and the tax rules applicable to hedging transactions. This discussion does not address any tax consequences to a U.S. Holder who holds the warrants as part of a straddle or for whom the warrants may constitute a hedging transaction.

 

Other tax characterizations of the warrants are possible. For example, in the case of warrants linked to the positive performance of reference shares in a foreign corporation, the IRS might successfully assert that the underlying reference shares are those of a passive foreign investment company (“PFIC”) and that the warrants represent options to acquire shares of a PFIC. See “Passive Foreign Investment Company Rules” below. The IRS might also seek to treat the warrants as Code section 1256 contracts in the event that they are listed on a securities exchange. In such case, the warrants would be marked-to-market at the end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain or loss would be treated as long-term capital gain or loss. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the warrants for U.S. federal income tax or other tax purposes.

 

Passive Foreign Investment Company Rules

 

Under Code section 1298, a taxpayer who holds an option to acquire shares in a PFIC may be considered as owning stock in the PFIC, with the result that the gain arising from the redemption or taxable sale or exchange of the options would be recharacterized as ordinary income, and certain interest charges could be imposed with respect to any such recharacterized income. These rules may apply to the gain derived from the warrants if the warrants reference shares in a foreign corporation that is a PFIC. We do not intend to ascertain whether any underlying

 

11 

 

references shares of an issuer that is a PFIC. Accordingly, it is possible that an underlying references shares of an issuer that is a PFIC and, therefore, that warrants constitute an ownership interest in a PFIC. U.S. Holders should consult their tax advisors regarding the U.S. federal income tax consequences to them of the potential application of the PFIC rules.

 

Medicare Tax

 

Certain U.S. Holders that are individuals, estates, and trusts must pay a 3.8% tax (the “Medicare Tax”) on the lesser of the U.S. person’s (1) “net investment income” or “undistributed net investment income” in the case of an estate or trust and (2) the excess of modified adjusted gross income over a certain specified threshold for the taxable year. “Net investment income” generally includes income from interest, dividends, and net gains from the disposition of property (such as the warrants) unless such income or net gains are derived in the ordinary course of a trade or business (other than a trade or business that is a passive activity with respect to the taxpayer or a trade or business of trading in financial instruments or commodities). Net investment income may be reduced by allowable deductions properly allocable to such gross income or net gain. Any interest earned or deemed earned on the warrants and any gain on sale or other taxable disposition of the warrants will be subject to the Medicare Tax. If you are an individual, estate, or trust, you are urged to consult with your tax advisor regarding application of Medicare Tax to your income and gains in respect of your investment in the warrants.

 

Warrants Held Through Foreign Entities

 

Under certain sections of the “Hiring Incentives to Restore Employment Act” (the “Act”) commonly referred to as “FATCA” and Treasury Regulations, a 30% withholding tax is imposed on “withholdable payments” and certain “passthru payments” made to foreign financial institutions (and their more than 50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S. individual with an account at the institution (or the institution’s affiliates) and to annually report certain information about such account. “Withholdable payments” generally include (1) payments of fixed or determinable annual or periodical gains, profits, and income (“FDAP”), in each case, from sources within the United States, and (2) gross proceeds from the sale of any property of a type which can produce interest or dividends from sources within the United States. “Passthru payments” generally are withholdable payments and foreign passthru payments. To avoid becoming subject to the 30% withholding tax on payments to them, we and other foreign financial institutions may be required to report information to the IRS regarding the holders of the warrants and, in the case of holders who (1) fail to provide the relevant information, (2) are foreign financial institutions that have not agreed to comply with these information reporting requirements, or (3) hold the warrants directly or indirectly through such non-compliant foreign financial institutions, the relevant withholding agent may be required to withhold on a portion of payments under the warrants. The Act also requires withholding agents making withholdable payments to certain foreign entities that are not foreign financial institutions that do not disclose the name, address, and taxpayer identification number of any substantial United States owners (or certify that they do not have any substantial United States owners) to withhold tax at a rate of 30%.

 

Withholding under FATCA will apply to all withholdable payments and certain passthru payments without regard to whether the beneficial owner of the payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding tax pursuant to an applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial institution is the beneficial owner of a payment, it will be subject to refund or credit in accordance with the same procedures and limitations applicable to other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such information as the IRS determines is necessary to determine whether such beneficial owner is a United States owned foreign entity and the identity of any substantial United States owners of such entity.

 

FATCA’s withholding regime generally will apply to (1) withholdable payments (other than gross proceeds of the type described above), (2) payments of gross proceeds of the type described above with respect to a sale or disposition occurring after December 31, 2018, and (3) passthru payments made on or after the later of January 1, 2019 or the date that final regulations defining the term “foreign passthru payment” are published. The provisions of

 

12 

 

FATCA discussed above generally will not apply to obligations (other than an instrument that is treated as equity for U.S. tax purposes or that lacks a stated expiration or term) that produce withholdable payments solely because the obligation is treated as giving rise to a dividend equivalent pursuant to Code section 871(m) and the regulations thereunder that is outstanding at any point prior to six months after the date on which obligations of its type are first treated as giving rise to dividend equivalent payments. 

 

If you are, or hold your warrants through a foreign financial institution or foreign entity, or you otherwise fail to comply with information reporting and certification requirements necessary for an applicable withholding agent to determine your status for purposes of FATCA, a portion of any of the payments made to you that are withholdable payments may be subject to 30% withholding.

 

We are not required to pay any additional amounts if withholding is required under the Act or otherwise.

 

Non-U.S. Holders Generally

 

In the case of a holder of the warrants that is not a U.S. Holder and has no connection with the United States other than holding its warrants (a “Non-U.S. Holder”), subject to the discussion in the following section, payments made with respect to the warrants will not be subject to U.S. withholding tax, provided that such Non-U.S. Holder complies with applicable certification requirements (including the requirements discussed in the preceding section). Any gain realized upon the sale or other disposition of the warrants by a Non-U.S. Holder generally will not be subject to U.S. federal income tax unless (1) such gain is effectively connected with a U.S. trade or business of such Non-U.S. Holder or (2) in the case of an individual, such individual is present in the United States for 183 days or more in the taxable year of the sale or other disposition and certain other conditions are met. Gains effectively connected with a U.S. trade or business realized by a Non-U.S. Holder that is or is treated as a corporation for U.S. federal income tax purposes could be subject to an additional 30% branch profits tax (subject to reduction under an applicable treaty).

 

Non-U.S. Holders that are subject to U.S. federal income taxation on a net income basis with respect to their investment in the warrants should refer to the discussion above relating to U.S. Holders.

 

Substitute Dividend and Dividend Equivalent Payments

 

Section 871(m) of the Code and regulations thereunder treat a “dividend equivalent” payment as a dividend from sources within the United States. Under Section 871(m) and applicable regulations, such payments generally will be subject to 30% U.S. withholding tax (subject to reduction under an applicable treaty). A “dividend equivalent” payment is (1) any payment of a substitute dividend made pursuant to a securities lending or sale-repurchase transaction that references the payment of a dividend from an underlying security, (2) any payment made pursuant to a notional principal contract (an “NPC”) described in Treasury Regulations section 1.871-15(d) (a “specified notional principal contract” or a “specified NPC”) that references the payment of a dividend from an underlying security, (3) any payment made pursuant to an equity-linked instrument (an “ELI”) described in Treasury Regulations section 1.871-15(e) (a “specified ELI”) that references the payment of a dividend from an underlying security, or (4) any other substantially similar payment.

 

An ELI is a financial instrument (other than a securities lending or sale-repurchase transaction or an NPC) or combination of financial instruments that references one or more underlying securities to determine its value, including a futures contract, forward contract, option, contingent payment debt instrument, or other contractual arrangement. An “underlying security” is any interest in an entity if a payment with respect to that interest could give rise to a U.S. source dividend, provided that, for this purpose an index referenced by an NPC or an ELI that satisfies the criteria listed in Treasury Regulations section 1.871-15(l)(3), is treated as a single security that is not an underlying security.

 

The Treasury Regulations will not apply to warrants issued prior to January 1, 2019 unless such warrants have a “delta” of one. Based on certain determinations made by us, in the opinion of our Tax Counsel, although not free from doubt, a Non-U.S. holder should not be subject to withholding under section 871(m) with respect to this issuance of warrants.

 

13 

 

A warrant issued after December 31, 2018 will be subject to the final regulations and payments under any such warrant that explicitly or implicitly reference a dividend payment on an underlying (or any equity security component in an underlying) could be subject to withholding if the warrant has a delta equal to or greater than 0.80 with respect to such underlying or component or, if a warrant were treated as a complex contract under Treasury Regulations section 1.871-15(a)(14)(ii), it meets the substantially equivalence test described in Treasury Regulations section 1.871-15(h). Notwithstanding that warrants generally do not pass through dividends on underlyings (or equity securities that are components of an underlying), holders may receive the benefits of certain distributions under the facts described in the accompanying product supplement under “Description of the Warrants—Adjustments—Adjustments for equity securities of a reference share issuer” and under “Description of the Warrants—Adjustments—Adjustments for a reference fund”. Alternatively, the IRS may be able to argue that a payment on a warrant implicitly references a dividend on an underlying security. Any payment or portion thereof under the warrants determined to be a dividend equivalent payment will be withheld upon at the rate described earlier in this section.

 

Non-U.S. Holders should consult their tax advisors regarding the U.S. federal income tax consequences to them of Section 871(m) of the Code and the regulations and whether payments or deemed payments on the warrants constitute dividend equivalent payments subject to withholding.

 

U.S. Federal Estate Tax Treatment of Non-U.S. Holders

 

The warrants may be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the warrants at the time of his or her death. The gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated in the United States. Individual Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences of holding the warrants at death.

 

Information Reporting Regarding Specified Foreign Financial Assets

 

The Act and recently finalized regulations generally require individual U.S. Holders (“specified individuals”) with an interest in any “specified foreign financial asset” to file an annual report on new IRS Form 8938 with information relating to the asset, including the maximum value thereof, for any taxable year in which the aggregate value of all such assets is greater than $50,000 on the last day of the taxable year or $75,000 at any time during the taxable year. Certain individuals are permitted to have an interest in a higher aggregate value of such assets before being required to file a report.

 

The Act further requires that, to the extent provided in regulations, the filing requirements described shall also apply to certain domestic entities that are formed or used for the purposes of holding, directly or indirectly, specified foreign financial assets (“specified domestic entities”). Pursuant to final regulations, subject to certain exceptions, a domestic corporation or domestic partnership is a specified domestic entity for any taxable year if it is closely held (within the meaning of the regulations) by a specified individual and at least 50 percent of the corporation’s or partnership’s gross income for the taxable year is passive income or at least 50 percent of the assets held by the corporation or partnership for the taxable year are assets that produce or are held for the production of passive income. Subject to certain exceptions, a domestic trust is a specified domestic entity if the trust has one or more specified persons (within the meaning of the regulations) as a current beneficiary.

 

Depending on the aggregate value of your investment in specified foreign financial assets, you may be obligated to file an IRS Form 8938 under this provision if you are an individual U.S. Holder or a specified domestic entity. Penalties apply to any failure to file IRS Form 8938. In the event a U.S. Holder (either a specified individual or specified domestic entity) does not file such form, the statute of limitations on the assessment and collection of U.S. federal income taxes of such U.S. Holder for the related tax year may not close before the date which is three years after the date such information is filed. You should consult your tax advisor as to the possible application to you of this information reporting requirement and related statute of limitations tolling provision.

 

Backup Withholding and Information Reporting

 

14 

 

A holder of the warrants (whether a U.S. Holder or a Non-U.S. Holder) may be subject to information reporting requirements and to backup withholding with respect to certain amounts paid to such holder unless it provides a correct taxpayer identification number, complies with certain certification procedures establishing that it is not a U.S. Holder or establishes proof of another applicable exemption, and otherwise complies with applicable requirements of the backup withholding rules. Notwithstanding the foregoing, individual U.S. Holders will be subject to information reporting on a Form 1099-MISC with respect to the gross amount of cash settlement amounts.

 

15 

 

Supplemental Plan of Distribution

 

Under the terms of distribution agreements with JPMS and JPMorgan Chase Bank, N.A., each dated as of November 17, 2009, JPMS and JPMorgan Chase Bank, N.A. will act as placement agents for the warrants. We or one of our affiliates will pay discounts and commissions of $4.20 per warrant to the placement agents. For additional information, see “Underwriting (Conflicts of Interest)” in any accompanying product supplement.

 

We expect to deliver the warrants against payment for the warrants on the Settlement Date indicated herein, which may be a date that is greater than three business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than three business days after the Trade Date, purchasers who wish to transact in the warrants more than three business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.

 

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Credit Suisse

 

 

 

 

 

 

 

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